한국주식시장의 고유변동성 퍼즐에 대한 연구

다국어 초록 (Multilingual Abstract)

The idiosyncratic volatility (IVOL) puzzle, as first documented in Ang et al. (2006), has received so much attention in the finance literature. We examine the IVOL puzzle in the Korean stock markets. We use monthly realized IVOL based on daily stock returns and conditional IVOL from EGARCH based on monthly stock returns. We find that stocks with recent past high IVOL have low future average returns in Korean stock markets after controlling for market beta, size and value factors. The negative relationship between IVOL and stock returns is significant and robust for controlling short-term reversal, momentum, trading volume turnover ratio, stock price level. This result saggests that the IVOL puzzle of Ang et al. (2006) exists and there are broad, not easily diversifiable factors in Korean stock markets. However, we can not find this IVOL puzzle in the up market period and January. In January high IVOL stocks on average outperform low IVOL stocks while in other months they underperform. And in up markets the negative relationship between IVOL and stock returns is not significant but it is very significant in down markets. These results mean that high IVOL stocks earn large negative returns when the market goes down and induce the IVOL puzzle in the Korean stock markets.

참고문헌 (Reference)

1 김태혁, "한국주식시장에 있어서 반전거래전략과 계속거래전략의 경제적 유용성에 관한 비교연구" 14 : 73-111, 1997

2 윤상용, "한국 주식시장에서 유동성 요인을 포함한 3요인 모형의 설명력에 관한 연구" 한국재무학회 22 (22): 1-44, 2009

3 김태혁, "한국 주식시장에서 3요인 모형을 이용한 주식수익률의 고유변동성과 기대수익률 간의 관계" 한국증권학회 40 (40): 525-550, 2011

4 이상빈, "주식시장의 초과수익률과 고유변동성의 동적 관계 및 정보효율성에 관한 연구" 한국증권학회 36 (36): 387-423, 2007

5 김인수, "우리나라 주식시장에서의 주식프리미엄 퍼즐에 관한 연구" 한국재무학회 21 (21): 1-32, 2008

6 김동철, "시장위험의 구조적 변화와 주가수익률의 결정요인에 대한 재고찰" 한국증권학회 33 (33): 95-134, 2004

7 엄철준, "시장상황을 고려한 기대 주식수익률의 횡단면에 관한 재조사" 한국재무학회 25 (25): 599-639, 2012

8 고봉찬, "발생액 이상현상과 차익거래기회에 관한 연구" 한국증권학회 38 (38): 77-105, 2009

9 엄윤성, "모멘텀과 기업규모의 관계" 한국증권학회 42 (42): 901-927, 2013

10 윤상용, "기업변동성과 주식수익률의 횡단면에 관한 연구" 한국재무학회 24 (24): 91-131, 2011

11 김상환, "과거 수익률을 이용한 거래전략의 성과분석" 한국재무학회 25 (25): 203-246, 2012

12 Harvey, C., "The Specification of Conditional Expectations" 8 : 573-637, 2001

13 Peterson, D. R., "The Return Impact of Realized and Expected Idiosyncratic Volatility" 35 : 2547-2558, 2011

14 Gervais, S., "The High-volume Return Premium" 56 : 877-919, 2001

15 Ang, A., "The Cross-Section of Voaltility and Expected Returns" 61 (61): 259-299, 2006

16 Fama, E. F., "The Cross-Section of Expected Stock Returns" 47 : 427-465, 1992

17 Pettengill, G. N., "The Conditional Relation between Beta and Returns" 30 (30): 101-116, 1995

18 Fama, E., "Risk, Return, and Equilibrium: Empirical Tests" 71 : 607-636, 1973

19 Jegadeesh, N., "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency" 48 (48): 65-91, 1993

20 Huang, W., "Return Reversals, Idiosyncratic Risk, and Expected Returns" 25 : 1-22, 2010

21 Guo, H., "Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns" 34 : 1637-1649, 2010

22 Merton, R. C., "Presential Address: A Simple Model of Capital Market Equilibrium with Imcomplete Information" 42 : 483-510, 1987

23 Markowitz, H., "Portfolio Selection" 7 (7): 77-91, 1952

24 Pettengill, G. N., "Payment for Risk: Constant Beta vs. Dual-Beta Models" 37 : 123-136, 2002

25 Brandt, W., "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach" 72 : 217-257, 2004

26 Carhart, M. M., "On Persistence in Mutual Fund Performance" 52 : 57-82, 1997

27 Lettau, M., "Measuring and Modeling Variation in the Risk-Return Tradeoff" NBER 2003

28 Pastor, L., "Liquidity Risk and Expected Stock Returns" 111 : 642-685, 2003

29 Chui, A. C. W., "Individualism and Momentum Around the World" 65 (65): 361-392, 2010

30 Guo, H., "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns" 24 (24): 43-56, 2006

31 Bali, T. G., "Idiosyncratic Volatility and the Cross-Section of Expected Returns" 43 : 29-58, 2008

32 Fu, F., "Idiosyncratic Risk and the Cross-Section of Expected Returns" 91 : 24-37, 2009

33 Malkiel, G., "Idiosyncratic Risk and Security Returns" University of Texas at Dallas 2002

34 Goyal, A., "Idiosyncratic Risk Matters" 975-1007, 2003

35 Ang, A., "High Idioyncratic Volatility and Low Returns: International and Further U. S. Evidence" 91 : 1-23, 2009

36 Doran, J., "Gambling in the New Year? The January Idiosyncratic Volatility Puzzle" 2008

37 Chua, C. T., "Expected Volatility, Unexpected Volatility, and Cross-Section of Stock Returns" 33 (33): 103-123, 2010

38 French, K. R., "Expected Stock Returns and Volatility" 19 : 3-29, 1987

39 Jegadeesh, N., "Evidence of Predictable Behavior of Security Returns" 45 : 881-898, 1990

40 Levy, H., "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio" 68 : 643-658, 1978

41 Fama, E. F., "Common Risk Factors in the Returns on Stocks and Bonds" 33 : 3-56, 1993

42 Sharpe, W. F., "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk" 19 : 425-442, 1964

43 Ahn, D. H., "Basis Assets" 22 : 5133-5174, 2009

44 Newey, W., "A Simple Positive Semi-definite, Hetero-Skedasticity and Autocorrelation Consistent Covariance Matrix" 55 : 703-708, 1987